0.12891622261119873
Kerry Back
We’ll use random forests.
R-squared
0.12891622261119873
Importance of features
array([0.45752406, 0.54247594])
Make a prediction
array([0.50320694])
Sort based on predictions and compute portfolio returns (in sample):
quintile
1 0.012690
2 0.013577
3 0.091312
4 0.093226
5 0.332981
Name: ret, dtype: float64